| Summary: | 碩士 === 臺灣大學 === 會計學研究所 === 98 === Because analysts usually own better information sources and professional training, their interpretation and analysis of market should contain value to investors. Prior studies have investigated the impact of analysts’ recommendation on stock market. However, other than the recommendation, the whole textual content of analyst reports could also affect investors’ behavior.
This study uses content analysis to analyze the textual information contained in analyst reports issued between year 2007 and 2009. We quantify the sentiment as revealed by the textual information and investigate its relationship with cost of equity capital, stock return volatility, and analyst forecast accuracy.
The empirical results show that textual information of analyst reports does have significant relationship with stock market behavior and forecast accuracy. When the reports contain more negative sentiment, the cost of equity capital is higher. In addition, when the degree of sentiment uncertainty is higher, stock return volatility is higher while forecast accuracy is lower.
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